Questions tagged [real-options]
The real-options tag has no usage guidance.
5
questions
5
votes
0answers
129 views
monte carlo simulation
I'm a graduate student working on a real options research problem suggested to me by my advisor. I'm not looking for a solution, but I'd like to know about the feasibility of numerically solving the ...
1
vote
0answers
111 views
Binomial Option Pricing - Hedging
I'm working on a project which is requiring me to test Binomial option pricing on real data.
So far I have just been working with test data and my option pricing method works fine.
The issue I'm ...
2
votes
1answer
273 views
Real Options: Calculating the “option to switch use” using binomial lattices
I'm currently looking into calculating the "option to switch use" to determine the benefit of the ability to switch between two technologies at any point in time (american option). This is also called ...
11
votes
1answer
442 views
Appropriate measure of Volatility for economic returns from an asset?
In order to use Real Option Valuation (ROV), using Black-Scholes equation, I must know the volatility of the economic returns for T years. Knowing this information what could be the appropriate ...
8
votes
1answer
1k views
What is the best method to compute project volatility in Real Option Valuation?
There are few methods like Copeland-Antikarov, Herath-Park, Cobb-Charnes etc. to compute project volatility, however these methods compute upward biased volatility.
What is the best method I could ...
